On CPRT, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample.
On CPRT, 0 of 20 famous strategies beat buy-and-hold on daily bars; 0 of them hold out of sample. The best is RSI 14: buy oversold (30/70): -5.0 points a year over buying and holding CPRT. The worst is Upper Bollinger band breakout: -19.8 points a year against buy-and-hold.
| Strategy | Return | Buy and hold | Excess (pts/yr) | Vs. S&P 500 (pts/yr) | Out of sample | Trades |
|---|---|---|---|---|---|---|
| RSI 14: buy oversold (30/70) | ×53 | ×217 | -5.0% | +2.1% | overfit | 72 |
| Supertrend: the line that changes colour | ×47 | ×217 | -5.4% | +1.7% | overfit | 49 |
| The golden cross (50/200) | ×42 | ×217 | -5.8% | +1.4% | overfit | 42 |
| “Sell in May and go away” | ×41 | ×217 | -5.9% | +1.2% | overfit | 65 |
| Wyckoff: buying the accumulation | ×32 | ×217 | -6.7% | +0.4% | overfit | 184 |
| Only invest above the 200-day average | ×20 | ×217 | -8.3% | -1.2% | overfit | 286 |
| Stochastic: oversold cross (14, 3) | ×16 | ×217 | -9.1% | -2.0% | partly | 434 |
| The MACD cross (12/26/9) | ×16 | ×217 | -9.2% | -2.1% | partly | 635 |
| Ichimoku: buy above the cloud | ×14 | ×217 | -9.4% | -2.3% | overfit | 419 |
| Kaufman’s adaptive moving average (KAMA) | 969.5% | ×217 | -10.4% | -3.3% | overfit | 1177 |
| Parabolic SAR: follow the dots | 245.7% | ×217 | -14.1% | -7.0% | overfit | 707 |
| The Turtles: 55-day breakout | 237.4% | ×217 | -14.2% | -7.1% | overfit | 135 |
| Heikin Ashi: follow the coloured candles | 199.9% | ×217 | -14.6% | -7.5% | overfit | 2117 |
| ADX: trade only in strong trends | 146.1% | ×217 | -15.2% | -8.1% | overfit | 1041 |
| Bounce off the lower Bollinger band | 45.4% | ×217 | -16.9% | -9.8% | overfit | 272 |
| Smart Money: the liquidity sweep | 4.4% | ×217 | -17.9% | -10.8% | overfit | 100 |
| ICT / Smart Money: the fair value gap | 3.5% | ×217 | -17.9% | -10.8% | overfit | 222 |
| ICT / Smart Money: the order block | 3.2% | ×217 | -17.9% | -10.8% | overfit | 20 |
| 2-day RSI (the Connors rule) | -26.9% | ×217 | -19.0% | -11.9% | overfit | 734 |
| Upper Bollinger band breakout | -43.5% | ×217 | -19.8% | -12.7% | overfit | 554 |
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